臺灣博碩士論文加值系統

在過去的研究中，衍生性商品通常被視為避險的工具之一。此外，衍生性商品在過去文獻主要著重在探討其決定性因素之研究，而對於企業風險的影響則在近年來才逐漸被重視。本研究採用英國344家壽險業者，期間橫跨1989年至2010年，來探討衍生性商品對於壽險業者的影響。在風險衡量方法上與過去研究有所不同。考量到本研究所使用之資料庫不含保險業者市值之資料，無法用股價波動性來衡量企業整體風險，故設計上採用資本報酬率波動性的會計衡量方式當作企業風險的代理變數。從整體樣本期間的實證結果方面，衍生性商品對於企業的風險呈現顯著負相關。而值得注意的是，在金融危機期間(2007-2010)，衍生性商品的使用與企業風險則呈現顯著正相關。雖然此發現與過去幾位學者所提出的衍生性商品會為企業帶來更高風險的論點是吻合的，但是英國保險業的使用規範中，並未提及衍生性商品會為企業帶來顯著風險暴露的影響。因此在壽險業的實證結果上，本研究提供了不一樣的看法，並藉此讓管理者重新檢視使用衍生性商品對企業風險的影響。

Prior studies on derivatives normally focus on the determinants of decisions on derivative use and few of them examine how derivative use affects firm risk. In addition, due to data unavailability, there is only one study to our knowledge employs insurers as the sample to investigate the relationship between derivatives and solvency. Using data from 344 U.K. life insurers covering from 1989 to 2010, I investigate whether insurers with derivatives have a significant impact on firm risk. In my analysis, I proxy for insurers’ risk by accounting-based measure of risk, which hasn’t ever been used in the similar research topic. The results reveal that derivative use has a negative and significant relation with firm risk. However, after financial crisis, I find that derivative use has a significant and positive relation with firm risk. That is, there is a possibility that derivative use may lead to an increase in insurers’ overall risk and this result could help the governor to shed new light on the usage of derivatives in insurance.

Abstract II
摘要 III
誌謝 IV
Chapter 1 Introduction 1
1.1 Introduction 1
1.2 Institutional background 3
Chapter 2 Literature Review 4
2.1 Literature review 4
2.2 Risk management theory 4
2.3 The impact of derivatives on firm risk and hypothesis development 5
Chapter 3 Research Design 10
3.1 Sample construction 10
3.2 Control variables 10
3.3 Methodology 13
Chapter 4 Empirical Results 18
4.1 Univariate analysis 18
4.1.1 Extreme values 18
4.1.2 Pearson correlation coefficient matrix 20
4.1.3 Independent-samples two-tailed t-test 22
4.2 Multivariate analysis 24
4.2.1 Full sample data 24
4.2.2 Empirical analysis before and after the financial crisis 25
Chapter 5 Conclusions 28
References 30

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